The Following Data Are Available Relating to the Performance of Sooner

question 63

Multiple Choice

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Sooner } & \text { Market } \\&&\text { Portfolio }\\\text { Average return } & 20 \% & 11\% \\\text { Standard deviations of returns } & 44\% & 19\% \\\text { Beta } & 1.8 & 1.0 \\\text { Residual standard deviation } & 2.0 \% & 0.0 \%\end{array}$
The risk-free return during the sample period was 3%.
Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.

• A) 2.6%
• B) 4.00%
• C) 8.67%
• D) 31.43%
• E) 37.14%

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